Published on 10/17/2019 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.39 million contingent coupon autocallable notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Oct. 17 – Citigroup Global Markets Holdings Inc. priced $2.39 million of autocallable contingent coupon equity-linked securities due Jan. 14, 2021 tied to the worst performing of the iShares MSCI Emerging Markets ETF, the Dow Jones industrial average, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes carry a coupon of 9.1% per year, payable monthly if each asset closes above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be automatically redeemed at par plus interest if the worst-performing asset closes at or above its initial level on any monthly autocall date after nine months.
If the notes are not called and the final level of each asset is at least equal to its initial level or no asset has ever closed below 70% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the loss of the least performing asset.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying assets: | iShares MSCI Emerging Markets ETF, Dow Jones industrial average, S&P 500 index, Nasdaq-100 index
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| Amount: | $2,389,000
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| Maturity: | Jan. 14, 2021
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| Coupon: | 9.1%, payable monthly if assets close above coupon barrier on observation date
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| Price: | Par
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| Payout at maturity: | Par if each asset’s final level is at least equal to initial level or no asset has ever closed below knock-in level during life of notes; otherwise, full exposure to loss of least performing asset
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| Call: | At par plus interest if the worst-performing asset closes at or above initial level on any monthly autocall date after nine months
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| Initial index levels: | $41.07 for ETF, 26,496.67 for Dow, 2,938.13 for S&P, 7,740.362 for Nasdaq
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| Barrier levels: | $28.749 for ETF, 18,547.669 for Dow, 2,056.691 for S&P, 5,418.253 for Nasdaq, 70% of initial levels
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| Knock-in levels: | $28.749 for ETF, 18,547.669 for Dow, 2,056.691 for S&P, 5,418.253 for Nasdaq, 70% of initial levels
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| Pricing date: | Oct. 7
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| Settlement date: | Oct. 15
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 0.6%
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| Cusip: | 17327TWB8
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